Connors RSI-2

The claim

A 2-period RSI under 10 marks a violent short-term dip that tends to snap back within days. One of the most backtested setups in retail trading.

Where it comes from

Larry Connors and Cesar Alvarez, 'Short Term Trading Strategies That Work' (2008). Originally a daily-bar S&P strategy filtered by the 200-day moving average.

The exact rule we graded

Long while RSI(2) < 10, short while RSI(2) > 90, on 1-hour candles. Exits: 10-bar time exit, 3% stop loss.

• ✕OOS net expectancy > 0
• ✕Clears the cost hurdle
• ✕Robust, not lucky
• ✕Survivable drawdown
• ✓Not overfit

The backtest above is history. Since publication, this exact spec also runs in our nightly forward-test harness (the same one behind /forward-tests): only trades entered after publication count, open positions are never force-closed, and the record publishes either way.

Honest port notes

• Connors' original only trades with the 200-period trend. That filter was inexpressible when we first graded this page; since the 2026-07-11 spec-language upgrade it isn't, so we measured it: adding the trend filter improves out-of-sample expectancy from −3.8bp to −0.7bp across 6,328 trades. The filter is worth +3.1bp per trade — Connors was right to insist on it — and the filtered version still doesn't clear the fee bar. Public verify id: 113d9813-0a53-43c1-8c50-9cf67c649b45.
• His other refinement — exiting on a close above the 5-period moving average — remains the one piece our exit engine can't express (exits are stop/target/time/trail), so both graded versions use the fast time exit.
• The original was built for daily S&P bars, not 1-hour crypto. Same signal, much harsher venue — that's part of what the grade measures.

{
  "name": "Connors RSI-2",
  "universe": [
    "BTC/USDT:USDT",
    "ETH/USDT:USDT",
    "SOL/USDT:USDT",
    "BNB/USDT:USDT",
    "XRP/USDT:USDT",
    "DOGE/USDT:USDT",
    "LINK/USDT:USDT",
    "AVAX/USDT:USDT"
  ],
  "risk": {
    "risk_per_trade_pct": 1,
    "leverage_cap": 3,
    "max_daily_loss_pct": 5,
    "max_dd_halt_pct": 25
  },
  "sleeves": [
    {
      "name": "main",
      "timeframe": "1h",
      "entry": {
        "type": "rule",
        "logic": "all",
        "long": [
          {
            "indicator": "rsi",
            "period": 2,
            "op": "<",
            "value": 10
          }
        ],
        "short": [
          {
            "indicator": "rsi",
            "period": 2,
            "op": ">",
            "value": 90
          }
        ]
      },
      "exit": {
        "stop_loss_pct": 3,
        "time_exit_bars": 10
      }
    }
  ]
}